Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs

DOI10.1016/J.SPL.2012.11.004MaRDI QIDQ1950719zbMATH OpenOpenAlexFDO

Authors Auguste Aman, Naoul Mrhardy

Publication date 13 May 2013

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0810.0436

zbMATH Keywords

backward doubly SDEsobstacle problemstochastic PDEsstochastic viscosity solutions

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20)

Abstract: This paper is intended to give a probabilistic representation for stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use it connection with reflected generalized backward doubly stochastic differential equation.

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Cited in

(14)

• Reflected backward stochastic differential equations with time-delayed generators
• Controlled reflected SDEs and Neumann problem for backward SPDEs
• Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
• Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions
• Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process
• Continuity of the Feynman-Kac formula for a generalized parabolic equation
• Reflected solutions of generalized anticipated backward double stochastic differential equations
• The obstacle problem for quasilinear stochastic PDEs with Neumann boundary condition
• Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process
• Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions
• Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions
• Double barrier backward doubly stochastic differential equations
• Generalized reflected backward doubly SDEs with irregular barriers and continuous coefficients
• On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem

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